VWMA And TWAP Distance | Bots And Strategy | Help Center

VWMA And TWAP Distance

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What SteadyEdge calculates

This page documents the exact runtime calculation for the listed filter IDs. Formula symbols use O , H , L , C , and V for the current candle open, high, low, close, and volume; p is the configured lookback.

- Registry filter IDs: price_vs_vwma_pct , price_vs_twap_pct

Exact formula

VWMA = sum(C_i*V_i,p) / sum(V_i,p)

TWAP = SMA((H+L+C)/3, p)

distance % = 100 * (C_t-reference_t) / reference_t

Parameters, defaults, and bounds

- period : default 20 ; 1–200

How the rule passes

above requires a strict > comparison.

below requires a strict < comparison.

cross_above requires the previous value below the threshold and the current value at or above it.

cross_below requires the previous value above the threshold and the current value at or below it.

Data, timing, and warm-up

Candle filters use the rule timeframe and the latest candle at or before the evaluation time. A non-finite calculated value does not pass.

Every rule in the same filter set must pass. Test Filters and a backtest validate the complete set.

- Filters Reference

- How Entry Filters Work

- Timeframe, Operator, Value, And Params